Securitization and credit risk: Empirical evidence from an emerging economy

被引：27

作者：

de Mendonca, Helder Ferreira ^{[1
,2
]}

Barcelos, Vivian Iris ^{[1
]}

机构：

[1] Univ Fed Fluminense, Dept Econ, BR-24220000 Niteroi, RJ, Brazil

[2] Natl Council Sci & Technol Dev CNPq, Porto Alegre, RS, Brazil

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2015年 / 32卷

关键词：

Securitization assets; Credit risk; Financial system; Brazilian economy; PANEL-DATA; GMM;

D O I：

10.1016/j.najef.2015.01.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper presents empirical evidence from the Brazilian experience for the analysis on securitization transactions and credit risk. Based on panel data framework that takes into account 60 financial institutions from October 2002 to September 2012, we observe if there is some effect of the securitization transactions on credit risk and also whether credit risk stimulates securitization. Our findings indicate that securitization transactions imply an increase in the credit risk whereas credit risk is not relevant to explain securitization in Brazil. (c) 2015 Elsevier Inc. All rights reserved.

引用

页码：12 / 28

页数：17

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